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NO.PZ2018070201000101

问题如下：

According to the capital asset pricing model, what is the relationship between the market risk premium and the excess market return?

选项：

Market risk premium is less than the excess market return.

Market risk premium equals to the excess market return.

Market risk premium is higher than the excess market return.

解释：

B is correct.

With regard to the capital asset pricing model, the market risk premium equals to the market return minus the risk-free rate, i.e. the the return in excess of the market return.

Excess return 不是阿尔法吗？

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Kiko_品职助教 · 2022年01月14日

嗨，努力学习的PZer你好：

阿尔法通常指主动投资获得的收益。这道题要求的是excess“market” return，也就是要求的是market return（Rm）超过CAPM模型中的benchmark（也就是rf）的值。可以看出这个其实就是CAPM里的“Rm-Rf”，也就是market risk premium。所以两个描述的是同一个东西

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NO.PZ2018070201000101问题如下Accorng to the capitasset pricing mol, whis the relationship between the market risk premium anthe excess market return?A.Market risk premium is less ththe excess market return.B.Market risk premium equals to the excess market return.C.Market risk premium is higher ththe excess market return.B is correct.With regarto the capitasset pricing mol, the market risk premium equals to the market return minus the risk-free rate, i.e. the the return in excess of the market return.“Excess market return”否改为 market excess return （如讲义）更严谨？前者描述容易引起误解。

2024-09-07 07:18 1 · 回答

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2023-08-29 14:55 1 · 回答

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2022-11-14 11:29 1 · 回答

老师问下这道题为什么不选A 感觉market risk premium还要乘上beta 才能算是excess return beta通常小于1

2020-03-14 15:31 2 · 回答

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